论文标题
牛市和熊市在19号大流行期间
Bull and Bear Markets During the COVID-19 Pandemic
论文作者
论文摘要
COVID-19大流行造成了全球经济和金融活动的严重破坏。我们在此期间评估了美国总股票市场的情况，包括对短期和长途投资者的影响。使用Maheu，McCurdy和Song（2012）的模型，我们提供了流行期间与股票市场动态相关的平滑估计和样本外预测。我们确定公牛和熊市制度在内，包括其公牛校正和熊集会组成部分，证明了该模型在捕获重大政权变化时期的表现，并提供了改善风险管理和投资决策的预测。本文以未来一年的市场状态进行了样本的预测。
The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate the model's performance in capturing periods of significant regime change, and provide forecasts that improve risk management and investment decisions. The paper concludes with out-of-sample forecasts of market states one year ahead.
